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Friday 06 November 2026 12:01:18 GMT
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The "turtle soup" 81% win rate tested: Connors and Raschke's failed 20-day low rule on 16 years of S&P, Nasdaq, crude and gold futures Raghee Horner says this setup has an 81% win rate. I tested the original rule from Connors and Raschke's Street Smarts (1995) exactly as printed: a new 20-day low whose previous 20-day low is at least 4 sessions old, buy 5 ticks back above the old low, stop 1 tick under the day's low, exit at the next session's close. Fill order read from minute bars on back-adjusted ES, NQ, CL and GC futures, Nov 2010 to Nov 2026, one contract, after costs. 398 trades. It won 15.1% of them (60), not 81%. It still made money on three of the four markets because a win paid 7 to 18 times a loss: Nasdaq +$40,450, crude +$28,550, S&P +$11,815, gold -$9,800. On gold, selling the break of the 20-day low instead made +$60,880. Walked forward (expanding by calendar year, 2014 to 2026, settings picked on past years only) all four were positive, pooled +$61,549. Against random entries with the same stops it beat 90.4% on the S&P, 99.6% on the Nasdaq, 99.8% on crude and 27.6% on gold. At double costs the three winners stayed positive. The catch: almost all of it came after 2019 (2011 to 2018: S&P -$3,351, Nasdaq -$3,054), and Nasdaq 2025 alone made $38,001. Not modelled: her intraday range, buffer and time windows. This is the book's rule. Judge a setup by what a win pays, not how often it wins. I built this in QuantPad. It has every trade on the CME since 2010. Link in bio. #QuantPad #backtesting #futurestrading #tradingstrategy #algotrading

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